I believe this method no longer works? Tried everything but to no avail.
Also, have a look at this. This was posted by Outlook.com team on 6 August 2013:
space
Dear Outlook.com customer,
We're contacting you because we are making a change to the messaging history feature in Outlook.com.
Whenever you chat using Outlook.com whether it's through Facebook, Google Talk, or Messenger, a copy of your chat is saved in the Messaging history folder. As part of adding Skype to Outlook.com, the Messaging history folder will be removed sometime this fall.
If you don't use Outlook.com to chat, or don't want to keep a copy of your conversations, there's nothing you need to do.
If you want to keep a record of your chats, you'll need to move them to another folder. To move your message history:
In Outlook.com, right-click Folders, and then click Add a new folder.
Enter a name for the folder and press the Enter key.
Click Messaging history, and then click the check box at the very top of your message list.
Click Select everything.
Right-click any message and then click Move.
Select the folder you want to move your messages to, and then click Move.
After the Messaging history folder is removed, a history of your Skype, Google Talk, and Facebook chat sessions can be found in the Messaging pane.
We remain focused on making Outlook.com the best email service available. Thanks for your understanding and patience as we update our services.
space
Sincerely,
The Outlook.com Team
space